Package ‘vsgoftest’

June 24, 2018

Type Package
Title Goodness-of-Fit Tests Based on Kullback-Leibler Divergence
Version 0.3-2
Date 2018-06-21
Author Justine Lequesne [aut], Philippe Regnault [aut, cre]
Maintainer Philippe Regnault <philipperegnault@hotmail.com>
Description An implementation of Vasicek and Song goodness-of-fit tests. Several functions are pro-
vided to estimate differential Shannon entropy, i.e., estimate Shannon entropy of real random vari-
ables with density, and test the goodness-of-fit of some family of distributions, including uni-
form, Gaussian, log-normal, exponential, gamma, Weibull, Pareto, Fisher, Laplace and beta dis-
tributions; see Lequesne and Regnault (2018) <arXiv:1806.07244>.
Depends stats, fitdistrplus
Imports Rcpp (>= 0.12.1)
Suggests knitr
VignetteBuilder knitr
LinkingTo Rcpp
Encoding UTF-8
License GPL (>= 2)
NeedsCompilation yes
Repository CRAN
Date/Publication 2018-06-24 13:32:55 UTC

R topics documented:
vsgoftest-package . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
contaminants . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
dlaplace . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
dpareto . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
entropy.estimate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
vs.test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7

Index 10

1
2 vsgoftest-package

vsgoftest-package Goodness-of-Fit Tests Based on Kullback-Leibler Divergence

Description
An implementation of Vasicek and Song goodness-of-fit tests. Several functions are provided to
estimate differential Shannon entropy, i.e., estimate Shannon entropy of real random variables
with density, and test the goodness-of-fit of some family of distributions, including uniform, Gaus-
sian, log-normal, exponential, gamma, Weibull, Pareto, Fisher, Laplace and beta distributions; see
Lequesne and Regnault (2018) <arXiv:1806.07244>.

Details
The DESCRIPTION file:

Package: vsgoftest
Type: Package
Title: Goodness-of-Fit Tests Based on Kullback-Leibler Divergence
Version: 0.3-2
Date: 2018-06-21
Author: Justine Lequesne [aut], Philippe Regnault [aut, cre]
Maintainer: Philippe Regnault <philipperegnault@hotmail.com>
Description: An implementation of Vasicek and Song goodness-of-fit tests. Several functions are provided to estimate di
Depends: stats, fitdistrplus
Imports: Rcpp (>= 0.12.1)
Suggests: knitr
VignetteBuilder: knitr
LinkingTo: Rcpp
Encoding: UTF-8
License: GPL (>=2)
Packaged: 2018-06-14 21:16:51 UTC; philippe

Index of help topics:

contaminants Organic and inorganic contaminant concentration

data
dlaplace The Laplace distribution
dpareto The Pareto distribution
entropy.estimate Vasicek estimate of differential Shannon
Entropy
vs.test Vasicek-Song goodness-of-fit test for various
distributions
vsgoftest-package Goodness-of-Fit Tests Based on Kullback-Leibler
Divergence

Further information is available in the following vignettes:

contaminants 3

vsgoftest_tutorial Tutorial (source, pdf)

Author(s)
Justine Lequesne [aut], Philippe Regnault [aut, cre]
Maintainer: Philippe Regnault <philipperegnault@hotmail.com>

References
Vasicek, O., A test for normality based on sample entropy, Journal of the Royal Statistical Society,
38(1), 54-59 (1976).
Song, K. S., Goodness-of-fit tests based on Kullback-Leibler discrimination information, Informa-
tion Theory, IEEE Transactions on, 48(5), 1103-1117 (2002).
Girardin, V., Lequesne, J. Entropy-based goodness-of-fit tests - a unifying framework. Application
to DNA replication. Communications in Statistics: Theory and Methods (2017). https://doi.org/10.1080/03610926.2017.1401
Lequesne, J., Regnault, P. vsgoftest: An R Package for Goodness-of-Fit Testing Based on Kullback-
Leibler Divergence. arXiv:1806.07244 (2018).

Examples
set.seed(1)
samp <- rnorm(50, mean = 2, s = 3)

##Estimating entropy
entropy.estimate(x = samp, window = 8)
log(2*pi*exp(1))/2 #true value of entropy of normal distribution

##Testing normality
vs.test(x = samp, densfun = 'dnorm', param = c(2,3), B = 500) #Simple null hypothesis
vs.test(x = samp, densfun='dnorm', B = 500) #Composite null hypothesis

contaminants Organic and inorganic contaminant concentration data

Description
Organic and inorganic contaminant concentration data from Superfund sites; see Singh et al. (1997).

Usage
data(contaminants)
4 dlaplace

Format
Four numeric vectors of respective lengths 17, 17, 23 and 23.

Details
aluminium1 and manganese are groundwater concentration measurements of aluminium and man-
ganese from seventeen wells at the Naval Construction Battalion Center Superfound Site in Rhode
Island.
aluminium2 and toluene are concentration measurements of aluminium and toluene compiled
from two waste piles at Elmara School Superfound site in Washington County, PA.

Source
Singh, A K., Singh, A., Engelhardt, M. The lognormal distribution in environmental applications,
Technology Support Center Issue Paper, US EPA (1997).

dlaplace The Laplace distribution

Description
Density, cumulative distribution function, quantile function and random generation for the laplace
distribution.

Usage
dlaplace(x, mu, b, log = FALSE)
plaplace(q, mu, b, lower.tail = TRUE, log.p = FALSE)
qlaplace(p, mu, b, lower.tail = TRUE, log.p = FALSE)
rlaplace(n, mu, b)

Arguments
x,q (numeric, vector) a vector of quantiles.
p (numeric, vector) a vector of probablities.
n (numeric, vector) sample size to be generated.
mu (numeric, single value) the location parameter.
b (numeric, single value) the scale parameter.
log, log.p (logical, single value) if TRUE, probabilities are given as log(p). Default
is FALSE.
lower.tail (logical, single value) if TRUE (default), probabilities are P (X ≤ x);
otherwise P (X > x).
dpareto 5

Details
The laplace distribution with shape parameter µ > 0 and scale parameter b > 0 has density
1 |x − µ|
f (x) = exp(− ), x ∈ R.
2b b

Value
dlaplace gives the density, plaplace gives the distribution function, qlaplace gives the quantile func-
tion, and rlaplace generates random deviates.
The length of the result is determined by n for rnorm, and is the maximum of the lengths of the
numerical arguments for the other functions.

Author(s)
J. Lequesne <justine.lequesne@unicaen.fr>

Examples
set.seed(1)
rlaplace(100,mu=2,b=1)

dpareto The Pareto distribution

Description
Density, cumulative distribution function, quantile function and random generation for the Pareto
distribution.

Usage
dpareto(x, mu, c, log = FALSE)
ppareto(q, mu, c, lower.tail = TRUE, log.p = FALSE)
qpareto(p, mu, c, lower.tail = TRUE, log.p = FALSE)
rpareto(n, mu, c)

Arguments
x,q (numeric, vector) a vector of quantiles.
p (numeric, vector) a vector of probablities.
n (numeric, vector) sample size to be generated.
mu (numeric, single value) the shape parameter.
c (numeric, single value) the scale parameter.
log, log.p (logical, single value) if TRUE, probabilities are given as log(p). Default
is FALSE.
lower.tail (logical, single value) if TRUE (default), probabilities are P (X ≤ x);
otherwise P (X > x).
6 entropy.estimate

Details
The pareto distribution with shape parameter µ > 0 and scale parameter c > 0 has density

f (x) = µcµ x−1−µ ,

for x ≥ 0.

Value
dpareto gives the density, ppareto gives the distribution function, qpareto gives the quantile function,
and rpareto generates random deviates.
The length of the result is determined by n for rnorm, and is the maximum of the lengths of the
numerical arguments for the other functions.

Author(s)
J. Lequesne <justine.lequesne@unicaen.fr>

References
Arnold, B.C. Pareto distribution, International Cooperative Publishing House, Fairland (1983).
Philbrick, S.W. A practical guide to the single parameter Pareto distribution. Proceedings of the
Casualty Actuarial Society LXXII, 44, 44-85 (1985).

Examples
n<- 100
rpareto(n,mu=2,c=1)

entropy.estimate Vasicek estimate of differential Shannon Entropy

Description
Computes Vasicek estimate of differential Shannon entropy from a numeric sample.

Usage
entropy.estimate(x,window)

Arguments
x (numeric, vector) the numeric sample.
window (numeric, single value) an integer between 1 and half on the sample size
specifying the window size for computing Vasicek estimate. See Details for
additional information.
vs.test 7

Details
Vasicek estimator of Shannon entropy is defined, for a random sample X1 , . . . , Xn , by
n
1X n
log( [X(i+m) − X(i−m) ]),
n i=1 2m

where X(i) is the order statistic, m < (n/2) is the window size, and X(i) = X(1) for i < 1 and
X(i) = X(n) for i > n.

Value
A single numeric value representing the Vasicek estimate of entropy of the sample

Author(s)
J. Lequesne <justine.lequesne@unicaen.fr>

References
Vasicek, O., A test for normality based on sample entropy, Journal of the Royal Statistical Society,
38(1), 54-59 (1976).

See Also
vs.test which performs Vasicek-Song goodness-of-fit tests to the specified maximum entropy
distribution family.

Examples
set.seed(2)
samp <- rnorm(100, mean = 0, s = 1)
entropy.estimate(x = samp, window = 8)
log(2*pi*exp(1))/2 #true value of entropy of normal distribution

vs.test Vasicek-Song goodness-of-fit test for various distributions

Description
Performs Vasicek-Song goodness-of-fit test to the specified distribution family.

Usage
vs.test(x, densfun, param = NULL,
simulate.p.value = NULL, B = 5000,
delta = NULL, extend = FALSE, relax = FALSE)
8 vs.test

Arguments
x (numeric, vector) the numeric sample.
densfun A character string specifying the fitted distribution. Possible values are "dunif",
"dnorm", "dlnorm", "dexp", "dgamma", "dweibull", "dpareto", "df", "dlaplace"
and "dbeta".
param (numeric, vector) specifies the parameter(s) of the fitted distribution. If NULL
(default), a GOF test to the parametric family of distributions specified by dens-
fun is performed.
simulate.p.value
(logical, single value) if TRUE, the p-value of the sample is estimated by
means of Monte Carlo methods. If NULL (the default), the p-value is simulated
if the sample size is smaller than 80; otherwise, an asymptotic p-value is com-
puted.
B (numeric, single value) a numeric value specifying the number of simula-
tions to perform in Monte-Carlo estimation of the p-value.
delta (numeric, single value) a numeric value smaller than 1/3 specifying the
upper bound n1/3 − δ for window size, where n is the sample size. The default
depends on densfun; see Vignettes for details.
extend (logical, single value). If FALSE (the default), the bound for the window is
n1/3 − δ; if TRUE, the bound is n/2.
Pn
relax (logical, single value) avoids the constraint Vmn ≤ − n1 i=1 log p0 (Xi , θbn )
when computing the optimal window; see details. Default is FALSE.

Details
The test statistic is
n
1X
Imn = −Vmn − log p0 (Xi , θ),
n i=1
where Vmn is the Vasicek estimator of Shannon entropy computed from the numeric sample x with
window size m and p0 (x, θ) is the density function of the specified distribution densfun to be
tested, with θ the parameter of the null for a simple hypothesis or its maximum likelihood estimate
for a composite null hypothesis (param=NULL); See Song (2002), Girardin and Lequesne (2017) and
Lequesne and Regnault (2018).
An optimal window size m is automatically computed; see Song (2002).
An exact p-value is computed if the sample size is less than 100. Otherwise, asymptotic distribution
is used whose approximation may be inaccurate for small samples; see Lequesne and Regnault
(2018).

Value
A list with class "htest" containing the following components:
observed The sample under study.
data.name The name (as an R object) of the sample.
null.value A character string specifying the name of the fitted distribution.
vs.test 9

method The character string "Vasicek GOF test to" followed by the name of the
fitted distribution.
statistic Vasicek test statistic; see Details below.
parameter The optimal window for Vasicek test statistic
estimate Parameter(s) of the fitted distribution. If param is NULL, parameters are esti-
mated. If param is suitably filled out by the user, it is returned.
p.value The p-value of the test.

Author(s)
J. Lequesne <justine.lequesne@unicaen.fr>

References
Vasicek, O., A test for normality based on sample entropy, Journal of the Royal Statistical Society,
38(1), 54-59 (1976).
Song, K. S., Goodness-of-fit tests based on Kullback-Leibler discrimination information, Informa-
tion Theory, IEEE Transactions on, 48(5), 1103-1117 (2002).
Girardin, V., Lequesne, J. Entropy-based goodness-of-fit tests - a unifying framework. Application
to DNA replication. Communications in Statistics: Theory and Methods (2017). https://doi.org/10.1080/03610926.2017.1401
Lequesne, J., Regnault, P. vsgoftest: An R Package for Goodness-of-Fit Testing Based on Kullback-
Leibler Divergence. arXiv:1806.07244 (2018).

See Also
entropy.estimate which computes the Vasicek estimator of Shannon entropy.

Examples
set.seed(1)
samp <- rnorm(50,2,3)
vs.test(x = samp, densfun = 'dnorm', param = c(2,3), B = 500) #Simple null hypothesis
vs.test(x = samp, densfun='dnorm', B = 500) #Composite null hypothesis
## Using asymptotic distribution to compute the p-value
vs.test(x = samp, densfun='dnorm', simulate.p.value = FALSE) #Composite null hypothesis
Index

∗Topic Differential Shannon entropy

entropy.estimate, 6
∗Topic datasets
contaminants, 3
∗Topic distribution
dlaplace, 4
dpareto, 5
∗Topic htest
vs.test, 7
∗Topic package
vsgoftest-package, 2

aluminium1 (contaminants), 3
aluminium2 (contaminants), 3

contaminants, 3

dlaplace, 4
dpareto, 5

entropy.estimate, 6, 9

manganese (contaminants), 3

plaplace (dlaplace), 4
ppareto (dpareto), 5

qlaplace (dlaplace), 4
qpareto (dpareto), 5

rlaplace (dlaplace), 4
rpareto (dpareto), 5

toluene (contaminants), 3

vs.test, 7, 7
vsgoftest (vsgoftest-package), 2
vsgoftest-package, 2

10